Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0048 |
| Annualized Std Dev | 0.1956 |
| Annualized Sharpe (Rf=0%) | 0.0247 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5588.0000 |
| NAs | 1.0000 |
| Minimum | -0.1372 |
| Quartile 1 | -0.0044 |
| Median | 0.0005 |
| Arithmetic Mean | 0.0001 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0054 |
| Maximum | 0.1310 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0004 |
| Variance | 0.0002 |
| Stdev | 0.0123 |
| Skewness | -0.9353 |
| Kurtosis | 17.6296 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0093 |
| Gain Deviation | 0.0085 |
| Loss Deviation | 0.0109 |
| Downside Deviation (MAR=210%) | 0.0138 |
| Downside Deviation (Rf=0%) | 0.0092 |
| Downside Deviation (0%) | 0.0092 |
| Maximum Drawdown | 0.7822 |
| Historical VaR (95%) | -0.0174 |
| Historical ES (95%) | -0.0313 |
| Modified VaR (95%) | -0.0189 |
| Modified ES (95%) | -0.0395 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 1999-12-08 | 2009-03-09 | NA | -0.7822 | 5355 | 2325 | NA |
| 1999-07-20 | 1999-10-18 | 1999-11-19 | -0.0952 | 88 | 64 | 24 |
| 1999-05-14 | 1999-06-14 | 1999-07-15 | -0.0541 | 43 | 21 | 22 |
| 1999-01-07 | 1999-02-26 | 1999-03-12 | -0.0385 | 45 | 35 | 10 |
| 1999-03-16 | 1999-03-23 | 1999-03-26 | -0.0214 | 9 | 6 | 3 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | 0.4 | 0 | 0 | -0.6 | 0 | 0.2 | 0.2 | -0.4 | -0.9 | -0.2 | 0.2 | 1.4 | 0.3 |
| 2000 | 0.5 | 0 | 1.7 | 0.5 | 1.5 | 1 | 0.7 | -0.2 | -1.2 | -0.2 | 0.3 | 0 | 4.6 |
| 2001 | 1.3 | -0.3 | 0.6 | 0.7 | 0.6 | 0.6 | 0.4 | 0.4 | -0.3 | 1.3 | -0.2 | 0.3 | 5.4 |
| 2002 | 0 | 1.3 | -0.3 | 1.4 | -0.4 | -0.7 | -1.9 | 0.3 | 3.3 | 1.4 | 0.1 | 0.4 | 5 |
| 2003 | 0.5 | 0.1 | 0.9 | 0.2 | 1.9 | 0.7 | -0.9 | 0.7 | 1.7 | 0.7 | 1 | 0.2 | 7.9 |
| 2004 | -0.1 | 0.7 | 0.3 | -0.4 | 0 | -1 | 0.4 | 0.3 | 1.7 | -0.2 | 1.2 | -0.2 | 2.7 |
| 2005 | 0.4 | 0.7 | -0.6 | 1.2 | 0.6 | -0.1 | -0.2 | 0.1 | -0.3 | -0.2 | 0.9 | -0.4 | 2 |
| 2006 | 0 | 0.5 | -0.2 | -0.3 | 1 | 0.2 | -0.5 | 0.5 | 0.1 | -0.8 | -0.4 | -0.4 | -0.2 |
| 2007 | 0.3 | -0.6 | -0.3 | 0 | 0.5 | 0.4 | 0 | 1.4 | 1.2 | -1.9 | 0.9 | 1 | 2.9 |
| 2008 | 2.1 | -2.4 | 3.3 | 1.6 | 0.3 | 0 | -0.4 | -1 | 1 | 2.9 | -9 | 3.1 | 0.8 |
| 2009 | -0.5 | -1.8 | 1.3 | 0.3 | 1.9 | 1 | 2.7 | -2.5 | -1.5 | -3.2 | 0.9 | -0.1 | -1.6 |
| 2010 | 1.4 | 1.1 | 1 | -1.2 | 2.7 | -0.6 | 0 | 3.1 | 0.1 | 0 | 1.8 | 0.5 | 10.1 |
| 2011 | 0.7 | -1.2 | 0.4 | 0.3 | -1.7 | 1.3 | -0.1 | -1.1 | -2.4 | -2.9 | 0.9 | -0.1 | -6 |
| 2012 | 1 | 0.7 | 0.4 | 0.6 | -2.1 | 2 | -0.1 | 0.2 | 0.5 | 1 | 0.2 | 1.2 | 5.8 |
| 2013 | 0.7 | 0.2 | -0.1 | -0.9 | -0.9 | 0.4 | 1.1 | 0.3 | 0.4 | 0.2 | -0.2 | 0.2 | 1.4 |
| 2014 | -0.5 | 0.2 | 0.2 | 0.1 | 0.1 | 0.6 | -0.8 | 0.5 | -1.3 | 1.1 | -0.3 | -0.3 | -0.4 |
| 2015 | -0.9 | -0.3 | -0.6 | 0.6 | 0.1 | 0.8 | 0 | -2.1 | -0.8 | -0.1 | 0.7 | -0.3 | -3 |
| 2016 | 0.1 | 1.7 | 0.2 | -0.5 | 0 | 0.4 | -0.4 | 0 | 0.9 | -0.3 | -0.3 | -0.2 | 1.5 |
| 2017 | 0.1 | 0.5 | -0.1 | 0.9 | 0.3 | 0.2 | -0.2 | 0.5 | 0.4 | 0.1 | -0.2 | 0.2 | 2.9 |
| 2018 | 0.3 | -1.9 | 1.1 | -0.5 | 0.6 | 0.2 | -0.1 | -0.1 | 0.5 | 1.1 | 0.5 | 1 | 2.5 |
| 2019 | 0 | 0 | 1.1 | -0.1 | -1 | 0.8 | -1.2 | 0.5 | -0.8 | 0.8 | 0 | 0.7 | 0.6 |
| 2020 | -1.7 | -3.1 | -5.1 | -2.4 | 0.7 | 0.4 | 0.2 | -0.1 | 0.5 | -1.1 | 1.4 | 0.2 | -9.7 |
| 2021 | 1.5 | 1.3 | 0.3 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3.2 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
